Empirical Research On The Effect Of Stamp Duty On Stock Price

Under the background of deepening China's reform and opening up and the continuous improvement of the market economy system,China's securities market has gradually grown,and the operation mechanism of securities trading has gradually been standardized.Of course,due to the relatively late development of China's securities market,the securities market is not yet mature,the stock market speculation happens as well as "herding" and so on.In recent years,as an important tool to regulate the securities,securities stamp has been developed with the changes of the securities market.The 0.1 percent stamp tax on buying shares has been abolished,although an equivalent tax on share sales remains.The tax rate also has been adjusted several times to promote the healthy and stable development of the securities market.However,the adjustment of the stamp duty rate of securities transactions causes controversy in society.Some people think that adjusting stamp duty rate is hard to play an role on money trading,while some people believe that the stamp duty collection is helpful in the regulation of securities market.Therefore,according to the adjustment of the stamp duty rate of securities transactions in China in recent years,this paper has validated the effect of stamp duty on stock price in order to judge the regulation effect of stamp duty on securities market.Based on the mechanism of stock trading stamp duty on stock price,this paper analyzes the effect of stamp duty on stock price and stock price volatility by using Levene test and GARCH test.We chose 4 latest adjustment of stamp duty of securities trading,took the Shanghai composite index as sample data,and made empirical test about the impact on stock price when the stamp duty of securities transactions increased or lowered.The empirical results showed that the adjustment of the stamp duty on securities transactions has a significant effect on the stock price in the short term,but the long-term effect is not obvious.The impact on the stock price is different in different periods.On the basis of empirical analysis,this paper puts forward some suggestions on how to optimize the stamp duty policy of securities transactions in China from short-term and long-term perspective based on the reality of our country and advanced experience from foreign countries.